| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.5% | -34.92% |
| CAGR﹪ | -24.77% | -56.96% |
| Sharpe | -22.17 | -4.36 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -15.52 | -3.05 |
| Sortino | -12.93 | -4.71 |
| Smart Sortino | -9.05 | -3.3 |
| Sortino/√2 | -9.14 | -3.33 |
| Smart Sortino/√2 | -6.4 | -2.33 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -15.96% | -51.26% |
| Longest DD Days | 107 | 127 |
| Volatility (ann.) | 10.65% | 61.82% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -1.55 | -1.11 |
| Skew | -4.68 | -3.85 |
| Kurtosis | 34.25 | 45.14 |
| Expected Daily | -0.11% | -0.33% |
| Expected Monthly | -2.05% | -5.95% |
| Expected Yearly | -7.0% | -19.33% |
| Kelly Criterion | -31.81% | -77.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -6.65% |
| Expected Shortfall (cVaR) | -1.21% | -6.65% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.46 | -0.25 |
| Gain/Pain (1M) | -0.77 | -0.81 |
| Payoff Ratio | 0.62 | 0.39 |
| Profit Factor | 0.54 | 0.75 |
| Common Sense Ratio | 0.38 | 0.54 |
| CPC Index | 0.17 | 0.15 |
| Tail Ratio | 0.71 | 0.72 |
| Outlier Win Ratio | 8.95 | 1.58 |
| Outlier Loss Ratio | 12.51 | 3.07 |
| MTD | -12.5% | -30.02% |
| 3M | -14.14% | -36.5% |
| 6M | -13.63% | -35.02% |
| YTD | -15.76% | -34.42% |
| 1Y | -13.5% | -34.92% |
| 3Y (ann.) | -24.77% | -56.96% |
| 5Y (ann.) | -24.77% | -56.96% |
| 10Y (ann.) | -24.77% | -56.96% |
| All-time (ann.) | -24.77% | -56.96% |
| Best Day | 0.96% | 20.04% |
| Worst Day | -5.52% | -33.28% |
| Best Month | 2.6% | 5.02% |
| Worst Month | -12.5% | -30.02% |
| Best Year | 2.68% | -0.76% |
| Worst Year | -15.76% | -34.42% |
| Avg. Drawdown | -3.99% | -6.52% |
| Avg. Drawdown Days | 33 | 18 |
| Recovery Factor | -0.85 | -0.68 |
| Ulcer Index | 0.04 | 0.12 |
| Serenity Index | -19.89 | -10.56 |
| Avg. Up Month | 0.83% | 1.25% |
| Avg. Down Month | -5.86% | -14.19% |
| Win Days | 49.61% | 50.0% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.0 | - |
| Alpha | -0.27 | - |
| Correlation | -1.03% | - |
| Treynor Ratio | 402958.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.76 | 2.68 | -3.51 | + |
| 2022 | -34.42 | -15.76 | 0.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -15.96 | 107 |
| 2021-09-16 | 2021-11-05 | -2.65 | 50 |
| 2021-08-26 | 2021-08-27 | -0.59 | 1 |
| 2021-09-02 | 2021-09-03 | -0.50 | 1 |
| 2021-09-06 | 2021-09-10 | -0.24 | 4 |